Just create your products as normal based on a download option. Then add a product 'modifier' for 'CD' which includes the extra cost associated with a physical version of the product. Ensure that you also setting any associated shipping or handling charges for delivered goods.
Then on the product page of your site the user can choose which they'd prefer and see the extra costs for the CD option. During checkout you could optionally loop through the contents of the cart to check if a CD option has been selected and if so use that to display the shipping details and options. If not then you can skip the shipping info step in the checkout and just collect the billing details.
There's not much more to it than that.
Store provides a Download tag providing a way to serve up simple file downloads but if you need anything more fancy such as auto-zipping multiple audio files or serving them encrypted/secured then you may need to look into using other addons which can enhance this functionality.